Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0880
Annualized Std Dev 0.2240
Annualized Sharpe (Rf=0%) 0.3928

Row

Daily Return Statistics

Close
Observations 5588.0000
NAs 1.0000
Minimum -0.1365
Quartile 1 -0.0060
Median 0.0009
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0074
Maximum 0.1200
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0008
Variance 0.0002
Stdev 0.0141
Skewness -0.3268
Kurtosis 10.0940

Downside Risk

Close
Semi Deviation 0.0103
Gain Deviation 0.0098
Loss Deviation 0.0110
Downside Deviation (MAR=210%) 0.0147
Downside Deviation (Rf=0%) 0.0101
Downside Deviation (0%) 0.0101
Maximum Drawdown 0.5626
Historical VaR (95%) -0.0210
Historical ES (95%) -0.0332
Modified VaR (95%) -0.0212
Modified ES (95%) -0.0378
From Trough To Depth Length To Trough Recovery
2007-06-05 2009-03-09 2011-01-14 -0.5626 913 444 469
2020-02-21 2020-03-23 2020-11-10 -0.4249 184 22 162
2000-09-08 2002-10-09 2003-11-03 -0.3237 791 522 269
2011-05-02 2011-10-03 2012-09-13 -0.2653 347 108 239
2018-08-30 2018-12-24 2019-12-18 -0.2371 328 80 248

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 -0.1 0.1 0.4 -0.7 -0.8 0.6 0.5 1.5 -0.7 0.1 0.6 0.2 1.6
2000 1 1 3.5 1.4 2.9 -1.5 0.2 1 -1.4 0.7 2.3 -2.1 9.3
2001 -0.4 0.4 0.6 1.4 1.3 1.5 1.1 0.7 -1.3 1.8 -1.7 -1.1 4.4
2002 -0.5 2.6 0.4 0.6 0.1 -2.5 -2.4 -0.9 3.3 2 -0.4 0.7 2.9
2003 1.8 0.4 1.4 0 2.4 0.9 -0.8 0.5 2.4 0.1 1.3 -0.7 10
2004 0.1 1.6 1.1 -1 0.5 -1.4 -0.1 0.5 1.8 0.1 1.1 -0.1 4.1
2005 0.9 0.5 -0.2 1 1 0.8 0 -0.3 0.7 0.9 1.4 -0.3 6.6
2006 0.8 1.6 0.1 -0.6 1.4 0.2 -0.7 0.5 -0.6 -1.7 0.1 -0.7 0.2
2007 1.1 -0.4 0.5 0.3 0.4 -0.1 0.5 1.5 1.2 -2.3 1.2 -0.9 3
2008 2.7 -2.3 3.5 1.4 1 0 -0.3 -1 0 1.5 -10.3 1.9 -2.6
2009 -2.8 -0.8 1.4 -0.1 3.7 0.8 0 -2.1 -2.9 -2.9 1.5 -1.3 -5.4
2010 1.5 1.8 1.1 -2.2 -2.5 -0.6 0.2 3.4 0.3 0 2.1 -0.6 4.3
2011 1.5 -1.6 0.7 0.3 -2.9 1.7 -0.6 -1.5 -2.7 -3.1 -0.7 -0.6 -9.2
2012 2.1 0.9 -0.1 0.5 -3.1 2.7 -1.1 0.6 -0.5 2.5 0 1.6 6.2
2013 0.8 -0.1 -1 -1.8 -1 1.5 2.1 -1.6 1.4 0.1 -0.4 0.4 0.2
2014 -0.4 0.1 0.9 0.1 -0.3 0.8 -0.1 0.4 -1.3 1.1 -1.3 -1 -0.9
2015 -1.3 -0.4 -0.4 0.8 0.2 0.4 0.2 -2.8 -0.2 -0.1 0.9 -1 -3.9
2016 -0.2 2.3 0.6 -0.6 0.5 0.2 -0.3 0 0.9 -1.1 -0.2 -0.4 1.6
2017 -0.3 1.7 0 0.3 1.6 0.1 0.3 0.4 0.1 -0.3 -0.3 -0.5 3.1
2018 0.2 -0.3 1.4 0.4 0.6 0.1 -0.3 0.2 -0.8 2 0.7 1.1 5.2
2019 0.3 0.8 1.3 -1.2 -1 0.2 -1.5 0.2 -1.9 1.4 -1 0.1 -2.4
2020 -2 -1.9 -6 -3.4 1.3 -0.7 -0.7 0.8 1.4 -0.7 1.3 0.1 -10.4
2021 2.1 2.8 -0.2 NA NA NA NA NA NA NA NA NA 4.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl> <dbl>    <dbl>
1 1999-01-04  73.3 SPY    123. NA       NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
2 1999-01-05  73.5 SPY    124.  0.0114  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
3 1999-01-06  74.6 SPY    127.  0.0241  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
4 1999-01-07  73.7 SPY    127. -0.0049  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
5 1999-01-08  73.5 SPY    128.  0.0074  NA            NA       NA       NA       NA       NA <NA>     NA    NA       NA
6 1999-01-11  73   SPY    127. -0.0095   0.0284       NA       NA       NA       NA       NA <NA>     NA    NA       NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart